1. On discretization schemes for stochastic evolution equations
- Author
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Annie Millet, Istvan Gyongy, School of Mathematics - University of Edinburgh, University of Edinburgh, Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Université Pierre et Marie Curie - Paris 6 (UPMC)-Université Paris Diderot - Paris 7 (UPD7)-Centre National de la Recherche Scientifique (CNRS), Statistique Appliquée et MOdélisation Stochastique (SAMOS), Université Paris 1 Panthéon-Sorbonne (UP1), Modélisation Appliquée, Trajectoires Institutionnelles et Stratégies Socio-Économiques (MATISSE - UMR 8595), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), This paper was written while I. Gyongy was visiting the University of Paris X. The research of I. Gyongy is partially supported byEU Network HARP. The research of A. Millet is partially supported by the research project BMF2003-01345, and Centre National de la Recherche Scientifique (CNRS)-Université Paris Diderot - Paris 7 (UPD7)-Université Pierre et Marie Curie - Paris 6 (UPMC)
- Subjects
Discretization ,010102 general mathematics ,Probability (math.PR) ,Banach space ,MathematicsofComputing_NUMERICALANALYSIS ,Stochastic evolution ,01 natural sciences ,010101 applied mathematics ,[MATH.MATH-PR]Mathematics [math]/Probability [math.PR] ,Monotone polygon ,Convergence (routing) ,Monotone operators ,FOS: Mathematics ,Applied mathematics ,finite elements ,60H15 65M60 ,coercivity ,0101 mathematics ,Analysis ,Stochastic evolution equations ,Mathematics - Probability ,Mathematics - Abstract
International audience; Stochastic evolutional equations with monotone operators are considered in Banach spaces. Explicit and implicit numerical schemes are presented. The convergence of the approximations to the solution of the equations is proved.
- Published
- 2006